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Comparative study between local and global optimization for Heston model
Ratio Mathematica, 2022 The objective of this study is to estimate the calibration parameters of the Heston stochastic volatility model by the two optimization methods: local and global, then to compare their performances and finally to recommend one of the two methods.
Mohammed Bouasabah
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A multifactor volatility Heston model [PDF]
Quantitative Finance, 2008 We model the volatility of a single risky asset using a multifactor (matrix) Wishart affine process, recently introduced in finance by Gourieroux and Sufana. As in standard Duffie and Kan affine models the pricing problem can be solved through the Fast Fourier Transform of Carr and Madan.
J. Da Fonseca +2 more
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Heston-GA Hybrid Option Pricing Model Based on ResNet50
Discrete Dynamics in Nature and Society, 2022 (1) Background. This study aims to improve the accuracy of the pricing model. (2) Methods. Heston model is combined with ResNet50 convolutional neural network model. Based on the optimization of Heston model parameters by genetic algorithm (GA), ResNet50
Zheng Yang +3 more
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ESTIMASI VOLATILITAS STOKASTIK CRYPTOCURRENCY BITCOIN MENGGUNAKAN MODEL HESTON-MILSTEIN
E-Jurnal Matematika, 2022 Volatility is a quantity that measures how far a stock or cryptocurrency price moves in a certain period. To measure volatility properly, it can be done by using volatility modeling.
NI PUTU WIDYA ISWARI DEWI +2 more
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Analysis of numerical integration schemes for the Heston model: a case study based on the pricing of investment certificates [PDF]
Risk Management Magazine, 2023 The Heston model is one of the most used techniques for estimating the fair value and the risk measures associated with investment certificates. Typically, the pricing engine implements a significant number of projections of the underlying until maturity,
Michelangelo Fusaro +2 more
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Subordinate Shares Pricing under Fractional-Jump Heston Model [PDF]
تحقیقات مالی, 2019 Objective: In this paper, while introducing Heston's model of stochastic variance, regarding the jump process and the long-term memory feature of prices, a new model for pricing subordinate shares is presented.
Omid Jenabi, Nazar Dahmardeh Ghaleno
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The valuation of barrier options under a threshold rough Heston model
Journal of Management Science and Engineering, 2023 In this paper, we propose a novel model for pricing double barrier options, where the asset price is modeled as a threshold geometric Brownian motion time changed by an integrated activity rate process, which is driven by the convolution of a fractional ...
Kevin Z. Tong, Allen Liu
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Parameter Estimation of the Heston Volatility Model with Jumps in the Asset Prices
Econometrics, 2023 The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already for several decades. The Heston model, for instance, is based on two coupled SDEs and is often used in financial mathematics for the ...
Jarosław Gruszka , Janusz Szwabiński
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SSRN Electronic Journal, 2016 We propose a randomised version of the Heston model-a widely used stochastic volatility model in mathematical finance-assuming that the starting point of the variance process is a random variable. In such a system, we study the small-and large-time behaviours of the implied volatility, and show that the proposed randomisation generates a short-maturity
Antoine Jacquier, Fangwei Shi
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Closed-form portfolio optimization under GARCH models
Operations Research Perspectives, 2022 This paper develops an approximate closed-form optimal portfolio allocation formula for a spot asset whose variance follows a GARCH(1,1) process. We consider an investor with constant relative risk aversion (CRRA) utility who wants to maximize the ...
Marcos Escobar-Anel +2 more
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